Empirical Examples of the Central Limit Theorem：中心极限定理的实证的例子.pptVIP

Empirical Examples of the Central Limit Theorem Lecture XIV Wrapping Up Loose Ends. Application of Holder’s Inequality. Holder’s Inequality Example 4.7.1: If X and Y have means mX, mY and variances sX2, sY2, respectively, we can apply the Cauchy-Schwartz Inequality (Holders inequality with p=q=1/2) to get Squaring both sides and substituting for variances and covariances yields Which implies that the absolute value of the correlation coefficient is less than one. Application of Chebychev’s Inequality Chebychev’s Inequality: Let X be a random variable and let g(x) be a nonnegative function. Then, for any r0 Example 4.7.3: The most widespread use of Chebychev’s Inequality involves means and variances. Let g(x)=(x-m)2/s2, where m=E[X] and s2=V(X). Let r=t2. Letting t=2, this becomes However, this inequality may not say much, since for the normal distribution Casella and Berger offer a proof of the Central Limit Theorem (Theorem 5.3.3) based on the moment generating function instead of the characteristic function. However, they note that the proof using the characteristic function is a stronger result. Normal Approximation of the Binomial Starting from the Binomial distribution function: First, assume that n=10 and p=.5. The probability of r ? 3 is: Note that this distribution has a mean of 5 and a variance of 2.5. Given this we can compute Integrating the standard normal distribution function from negative infinity to –1.265 yields Expanding the sample size to 20 and examining the probability that r ? 6 yields: This time the mean of the distribution is 10 and the variance is 5. The resulting z*=-1.7889. P[Z]=.0368. As the sample size declines the binomial probability approaches the normal probability. Problems: Amemiya pp. 109-110 2,3,6, and 7 * * *